DS9 added depth to many races and introduced a few new interesting ones (especially the Jem'hadar and Vorta). The Cardassians seem to be the obvious choice, IMO. Not only did they get good storylines, deep culture and clever dialogue, almost every character was perfectly cast. The Klingons had a lot of development over TNG, but they got beyond the honor/dishonor dichotomy. Trills were the biggest disappointment: most of the episodes focused narrowly on the experience of being joined, which does not define the culture and society as a whole.
ETA: they really fumbled with the Ferengi at the end. At least Quark and Nog ended up being great characters.